Since setting up OpenVPN on Whonix including a secure, leak preventing Fail Closed Mechanism is challenging, it is highly recommend to learn how to set up OpenVPN on Debian stable (currently: jessie). Get a Debian stable VM. Install the Debian openvpn package. (sudo apt-get install openvpn) Figure out how to set up your VPN using OpenVPN in the command line. Only proceed if you succeeded setting that up. Do not post support requests regarding these instructions before you succeeded with that basic exercise. You find some help with general VPN setup in the #VPN Setup chapter or on the TestVPN page. There however are ways to get help from various sources for that basic exercise, also your VPN provider may be of assistance.Whonix 12 users may remember variable VPN_SERVERS. Don't wonder. That variable was abolished for better security.